Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
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Illustrates methods from Chapter 7 of the Wiley Finance series title Financial Modelling by Joerg Kienitz and Daniel Wetterau. e
We cover Monte Carlo simulation by considering path discretisation for advance models including:
Black-Scholes, Merton, Heston, Bates, Variance Gamma, NIG, SABR, VGGOU, VGCIR, NIGGOU, NIGCIR, CEV, Displaced Diffusion.
The files includes the popular QE scheme for discretizing Heston. We also cover direct and subordinator simulation for Levy processes.
Cite As
Kienitz Wetterau FinModelling (2026). Monte Carlo Simulation and Derivatives Pricing (https://ch.mathworks.com/matlabcentral/fileexchange/37618-monte-carlo-simulation-and-derivatives-pricing), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (353 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
